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Nonparametric copula estimation for mixed insurance claim data
Yang, Lu - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 537-546
Persistent link: https://www.econbiz.de/10013533451
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Nonparametric estimation and testing for positive quadrant dependent bivariate copula
Lu, Lu; Ghosh, Sujit K. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 664-677
Persistent link: https://www.econbiz.de/10013534040
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Sample selection models with monotone control functions
Liu, Ruixuan; Yu, Zhengfei - In: Journal of econometrics 226 (2022) 2, pp. 321-342
Persistent link: https://www.econbiz.de/10013461529
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A semi-nonparametric copula model for earnings mobility
Naguib, Costanza; Gagliardini, Patrick - 2023
In this paper we develop a novel semi-nonparametric panel copula model with external covariates for the study of wage rank dynamics. We focus on nonlinear dependence between the current and lagged worker's ranks in the wage residuals distribution, conditionally on individual characteristics. We...
Persistent link: https://www.econbiz.de/10013489421
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A flexible copula regression model with Bernoulli and Tweedie margins for estimating the effect of spending on mental health
Marra, Giampiero; Fasiolo, Matteo; Radice, Rosalba; … - In: Health economics 32 (2023) 6, pp. 1305-1322
Persistent link: https://www.econbiz.de/10014278046
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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
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Identification and estimation of triangular models with a binary treatment
Pereda-Fernández, Santiago - In: Journal of econometrics 234 (2023) 2, pp. 585-623
Persistent link: https://www.econbiz.de/10014434353
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
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Efficient estimation of multivariate semi-nonparametric GARCH filtered Copula models
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - 2020 - Revised October 9, 2019
Persistent link: https://www.econbiz.de/10015054147
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Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Kouaissah, Noureddine; Ortobelli Lozza, Sergio; … - In: Computational economics 60 (2022) 3, pp. 833-859
Persistent link: https://www.econbiz.de/10013380843